Must/should/can I write nph scripts?

Generally, no.   It is usually better to save yourself hassle by letting
the HTTPD produce the headers for you.
If you are going to use NPH, be sure to read and understand the HTTP spec at
http://www.w3.org/pub/WWW/Protocols/
Your headers should be complete and accurate, because you're instructing
the HTTPD not to correct them or insert what's missing.
Possible circumstances where the use of NPH is appropriate are:
  * When your headers are sufficiently unusal that they might be
    differently parsed by different HTTPDs (eg combining "Location:"
    with a "Status:" other than 302).
  * When returning output over a period of time (eg displaying
    unbuffered results of a slow operation in 'real' time).
See RFC1945 (HTTP/1.0) or RFC2068 (HTTP/1.1) for detail